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Abstract: This paper deals with discrete-time Markov control processes on a generalstate space. A long-run risk-sensitive average cost criterion is used as aperformance measure. The one-step cost function is nonnegative and possiblyunbounded. Using the vanishing discount factor approach, the optimalityinequality and an optimal stationary strategy for the decision maker areestablished.



Autor: Anna Jaśkiewicz

Fuente: https://arxiv.org/







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